Similar events are held in many countries but in Bulgaria men jumped into the icy cold sea in Varna in a race to be the first to find the cross.
It's believed that those who swim in the cold sea will be healthy throughout the year.
Swimmers lined up to prepare for the event before a procession by Orthodox priests and the Great Blessing of waters.
A dove was also released in Varna to mark the feast day.
Events also took place in Greece and Russia.
Check out the video of events in Bulgaria:
Epiphany celebration swim, Varna, Bulgaria from Rex Features on Vimeo.